org.drip.param.pricer

Class CreditPricerParams

java.lang.Object

org.drip.param.pricer.CreditPricerParams

All Implemented Interfaces:

PricerParams

public class CreditPricerParams
extends java.lang.Object
implements PricerParams

CreditPricerParams contains the Credit Pricer Parameters - the discrete unit size, calibration mode on/off, survival to pay/end date, and the discretization scheme

Author:

Lakshmi Krishnamurthy

Field Summary

Fields

Modifier and Type	Field and Description
static int	PERIOD_DAY_STEPS_MINIMUM Minimum number of days per unit
static int	PERIOD_DISCRETIZATION_DAY_STEP Discretization as a sequence of day steps
static int	PERIOD_DISCRETIZATION_FULL_COUPON No discretization at all - just the full coupon period
static int	PERIOD_DISCRETIZATION_PERIOD_STEP Discretization as a sequence of time space divided periods

Constructor Summary

Constructors

Constructor and Description
CreditPricerParams(int iUnitSize, CalibrationParams calibParams, boolean bSurvToPayDate, int iDiscretizationScheme) Create the pricer parameters from the discrete unit size, calibration mode on/off, survival to pay/end date, and the discretization scheme

Method Summary

Modifier and Type	Method and Description
CalibrationParams	calibParams() Retrieve the Calibration Parameters Instance
int	discretizationScheme() Retrieve the Discretization Scheme
static CreditPricerParams	Standard() Create the standard Credit pricer parameters object instance
boolean	survivalToPayDate() Retrieve the flag indicating whether the Survival is to be computed to the Pay Date (TRUE) or not
int	unitSize() Retrieve the Discretized Loss Unit Size

Methods inherited from class java.lang.Object

equals, getClass, hashCode, notify, notifyAll, toString, wait, wait, wait

Field Detail

PERIOD_DAY_STEPS_MINIMUM

public static final int PERIOD_DAY_STEPS_MINIMUM

Minimum number of days per unit

See Also:

Constant Field Values

PERIOD_DISCRETIZATION_DAY_STEP

public static final int PERIOD_DISCRETIZATION_DAY_STEP

Discretization as a sequence of day steps

See Also:

Constant Field Values

PERIOD_DISCRETIZATION_PERIOD_STEP

public static final int PERIOD_DISCRETIZATION_PERIOD_STEP

Discretization as a sequence of time space divided periods

See Also:

Constant Field Values

PERIOD_DISCRETIZATION_FULL_COUPON

public static final int PERIOD_DISCRETIZATION_FULL_COUPON

No discretization at all - just the full coupon period

See Also:

Constant Field Values

Constructor Detail

CreditPricerParams

public CreditPricerParams(int iUnitSize,
                          CalibrationParams calibParams,
                          boolean bSurvToPayDate,
                          int iDiscretizationScheme)

Create the pricer parameters from the discrete unit size, calibration mode on/off, survival to pay/end date, and the discretization scheme

Parameters:

iUnitSize - Discretization Unit Size

calibParams - Optional Calibration Params

bSurvToPayDate - Survival to Pay Date (True) or Period End Date (false)

iDiscretizationScheme - Discretization Scheme In Use

Method Detail

Standard

public static final CreditPricerParams Standard()

Create the standard Credit pricer parameters object instance

Returns:

CreditPricerParams object instance

unitSize

public int unitSize()

Retrieve the Discretized Loss Unit Size

Returns:

The Discretized Loss Unit Size

calibParams

public CalibrationParams calibParams()

Retrieve the Calibration Parameters Instance

Returns:

The Calibration Parameters Instance

survivalToPayDate

public boolean survivalToPayDate()

Retrieve the flag indicating whether the Survival is to be computed to the Pay Date (TRUE) or not

Returns:

TRUE - Survival is to be computed to the Pay Date

discretizationScheme

public int discretizationScheme()

Retrieve the Discretization Scheme

Returns:

The Discretization Scheme